Once I had a data frame for each time series, the next step was to convert them each to xts objects. With the data in xts format it was a simple matter to enforce temporal overlap and merge the data into a single time series object. The final step in the analysis was to calculate the linear coefficient, or beta, for a least squares fit of LIBOR on bond yield. This was to be done with both a 1 month and a 1 year moving window. Both of these could be achieved quite easily using rollapply() from the zoo package.

Below is the visualisation which I quickly put together on Plotly. Again I am profoundly impressed by just how easy this service is to use and how magnificent the interactive results are.